| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.00% |
3.82% |
81,158 |
3.90 |
1 |
+0.2389% |
1,049.4 |
| Fixed-Floater |
4.97% |
3.46% |
110,378 |
4.61 |
5 |
+0.0241% |
1,041.7 |
| Floater |
4.72% |
-16.25% |
76,368 |
0.67 |
3 |
-0.0654% |
1,047.5 |
| Op. Retract |
4.71% |
2.40% |
75,554 |
2.12 |
17 |
+0.0099% |
1,031.6 |
| Split-Share |
5.07% |
1.25% |
204,335 |
3.24 |
15 |
-0.0273% |
1,043.5 |
| Interest Bearing |
6.48% |
1.67% |
64,473 |
2.33 |
5 |
+0.3755% |
1,040.8 |
| Perpetual-Premium |
5.01% |
3.62% |
259,811 |
5.40 |
53 |
-0.0284% |
1,055.4 |
| Perpetual-Discount |
4.54% |
4.54% |
823,574 |
14.20 |
9 |
-0.0754% |
1,064.1 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| FIG.PR.A |
InterestBearing |
+1.0891% |
Traded as high as $10.37 before closing at $10.21-35, 5×10, on volume of 17,679 shares with a burst of activity (6,538 shares) in the last few minutes before the close. Now with a pre-tax bid-YTW of -13.62 based on a call 2007-04-04 at $10.00, which really sent the average YTW of the InterestBearing index for a loop. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| PIC.PR.A |
SplitShare |
210,473 |
Nice volume for a seasoned split share! Scotia crossed 70,000 at 16.00. Now with a pre-tax bid-YTW of 3.94% based on a bid of $16.01 and a hardMaturity 2010-11-01 at $15.00 |
| PWF.PR.K |
PerpetualPremium |
96,000 |
RBC crossed 37,200 at $26.25, then another 40,000 at the same price, then sold 15,000 to Desjardins at the $26.25 mark. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.25 and a call 2014-11-30 at $25.00. |
| CM.PR.J |
PerpetualDiscount |
52,307 |
Recent new issue on credit watch positive. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.93 and a limitMaturity. |
| MFC.PR.C |
PerpetualDiscount |
50,995 |
Now with a pre-tax bid-YTW of 4.47% based on a bid of $25.05 and a call 2015-4-18 at $25.00. |
| BNS.PR.K |
PerpetualPremium |
45,820 |
RBC crossed 40,000 at $26.25. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.11 and a call 2014-5-28 at 25.00. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Tuesday, March 6th, 2007 at 12:16 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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